The price of the euro is influenced by innumerable factors, including often unknown characteristics that make prediction based on fundamentals a complex task. An alternative way of trying to predict its movements is through time series models, which studies the historical behavior to infer its future trends. This work demonstrate the possibility of usage of a non-linear time series model, known as Hidden Markov Model (HMM). The model s foundations are shown, a methodology for its use elaborated and the R software to demonstrate the predictive results on the euro’s price – EUR/USD.